A data-driven econo-financial stress-testing framework to estimate the effect of supply chain networks on financial systemic risk
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Wiersema, Garbrand & Kleinnijenhuis, Alissa M. & Wetzer, Thom & Farmer, J. Doyne, 2023.
"Scenario-free analysis of financial stability with interacting contagion channels,"
Journal of Banking & Finance, Elsevier, vol. 146(C).
- Farmer, J. Doyne & Kleinnijenhuis, Alissa & Wetzer, Thom & Wiersema, Garbrand, 2020. "Scenario-Free Analysis of Financial Stability with Interacting Contagion Channels," INET Oxford Working Papers 2019-10, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
- Marco Bardoscia & Stefano Battiston & Fabio Caccioli & Guido Caldarelli, 2016.
"Pathways towards instability in financial networks,"
Papers
1602.05883, arXiv.org, revised Feb 2017.
- Bardoscia, Marco & Battiston, Stefano & Caccioli, Fabio & Caldarelli, Guido, 2017. "Pathways towards instability in financial networks," LSE Research Online Documents on Economics 69904, London School of Economics and Political Science, LSE Library.
- Poledna, Sebastian & Molina-Borboa, José Luis & Martínez-Jaramillo, Serafín & van der Leij, Marco & Thurner, Stefan, 2015.
"The multi-layer network nature of systemic risk and its implications for the costs of financial crises,"
Journal of Financial Stability, Elsevier, vol. 20(C), pages 70-81.
- Sebastian Poledna & Jos'e Luis Molina-Borboa & Seraf'in Mart'inez-Jaramillo & Marco van der Leij & Stefan Thurner, 2015. "The multi-layer network nature of systemic risk and its implications for the costs of financial crises," Papers 1505.04276, arXiv.org.
- Johannes Stangl & András Borsos & Christian Diem & Tobias Reisch & Stefan Thurner, 2024.
"Firm-level supply chains to minimize unemployment and economic losses in rapid decarbonization scenarios,"
Nature Sustainability, Nature, vol. 7(5), pages 581-589, May.
- Johannes Stangl & Andr'as Borsos & Christian Diem & Tobias Reisch & Stefan Thurner, 2023. "Firm-level supply chains to minimize unemployment and economic losses in rapid decarbonization scenarios," Papers 2302.08987, arXiv.org, revised Apr 2024.
- Huremovic, Kenan & Jiménez, Gabriel & Moral-Benito, Enrique & Vega-Redondo, Fernando & Peydró, José-Luis, 2020.
"Production and financial networks in interplay: Crisis evidence from supplier-customer and credit registers,"
EconStor Preprints
222281, ZBW - Leibniz Information Centre for Economics.
- Huremovic, Kenan & Jiménez, Gabriel & Moral Benito, Enrique & Peydró, José-Luis & Vega-Redondo, Fernando, 2024. "Production and Financial Networks in Interplay: Crisis Evidence from Supplier-Customer and Credit Registers," UC3M Working papers. Economics 43952, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Peydró, José-Luis & Jiménez, Gabriel & Kenan, Huremovic & Moral-Benito, Enrique & Vega-Redondo, Fernando, 2020. "Production and financial networks in interplay: Crisis evidence from supplier-customer and credit registers," CEPR Discussion Papers 15277, C.E.P.R. Discussion Papers.
- Kenan Huremovic & Jiménez Gabriel & Enrique Moral-Benito & José-Luis Peydró & Fernando Vega-Redondo, 2020. "Production and financial networks in interplay: Crisis evidence from supplier-customer and credit registers," Economics Working Papers 1730, Department of Economics and Business, Universitat Pompeu Fabra.
- Kenan Huremovic & Enrique Moral-Benito & Fernando Vega-Redondo & Gabriel Jiménez & José-Luis Peydró, 2020. "Production and Financial Networks in Interplay: Crisis Evidence from Supplier-Customer and Credit Registers," Working Papers 1191, Barcelona School of Economics.
- Fessina, Massimiliano & Zaccaria, Andrea & Cimini, Giulio & Squartini, Tiziano, 2024. "Pattern-detection in the global automotive industry: A manufacturer-supplier-product network analysis," Chaos, Solitons & Fractals, Elsevier, vol. 181(C).
- Acharya, Viral & Engle, Robert & Pierret, Diane, 2014.
"Testing macroprudential stress tests: The risk of regulatory risk weights,"
Journal of Monetary Economics, Elsevier, vol. 65(C), pages 36-53.
- Engle, Robert & Acharya, Viral & Pierret, Diane, 2013. "Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights," CEPR Discussion Papers 9431, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Robert Engle & Diane Pierret, 2013. "Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights," NBER Working Papers 18968, National Bureau of Economic Research, Inc.
- Engle, Robert & Acharya, Viral & Pierret, Diane, 2014. "Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights," CEPR Discussion Papers 9800, C.E.P.R. Discussion Papers.
- Acharya, Viral & Engle, Robert & Pierret, Diane, 2014. "Testing macroprudential stress tests: The risk of regulatory risk weights," LIDAM Reprints ISBA 2014022, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Daron Acemoglu & Asuman Ozdaglar & Alireza Tahbaz-Salehi, 2015.
"Systemic Risk and Stability in Financial Networks,"
American Economic Review, American Economic Association, vol. 105(2), pages 564-608, February.
- Daron Acemoglu & Asuman Ozdaglar & Alireza Tahbaz-Salehi, 2013. "Systemic Risk and Stability in Financial Networks," NBER Working Papers 18727, National Bureau of Economic Research, Inc.
- Poledna, Sebastian & Martínez-Jaramillo, Serafín & Caccioli, Fabio & Thurner, Stefan, 2021.
"Quantification of systemic risk from overlapping portfolios in the financial system,"
Journal of Financial Stability, Elsevier, vol. 52(C).
- Sebastian Poledna & Seraf'in Mart'inez-Jaramillo & Fabio Caccioli & Stefan Thurner, 2018. "Quantification of systemic risk from overlapping portfolios in the financial system," Papers 1802.00311, arXiv.org.
- Poledna, Sebastian & Martínez-Jaramillo, Serafín & Caccioli, Fabio & Thurner, Stefan, 2021. "Quantification of systemic risk from overlapping portfolios in the financial system," LSE Research Online Documents on Economics 113734, London School of Economics and Political Science, LSE Library.
- Hiroyasu Inoue & Yasuyuki Todo, 2019. "Firm-level propagation of shocks through supply-chain networks," Nature Sustainability, Nature, vol. 2(9), pages 841-847, September.
- Pichler, Anton & Poledna, Sebastian & Thurner, Stefan, 2021.
"Systemic risk-efficient asset allocations: Minimization of systemic risk as a network optimization problem,"
Journal of Financial Stability, Elsevier, vol. 52(C).
- Anton Pichler & Sebastian Poledna & Stefan Thurner, 2018. "Systemic-risk-efficient asset allocation: Minimization of systemic risk as a network optimization problem," Papers 1801.10515, arXiv.org, revised Mar 2018.
- Pichler, Anton & Poledna, Sebastian & Thurner, Stefan, 2018. "Systemic-risk-efficient asset allocation: Minimization of systemic risk as a network optimization problem," INET Oxford Working Papers 2018-11, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
- Helmut Elsinger & Alfred Lehar & Martin Summer, 2006.
"Risk Assessment for Banking Systems,"
Management Science, INFORMS, vol. 52(9), pages 1301-1314, September.
- Helmut Elsinger & Alfred Lehar & Martin Summer, 2002. "Risk Assessment for Banking Systems," Working Papers 79, Oesterreichische Nationalbank (Austrian Central Bank).
- Klimek, Peter & Poledna, Sebastian & Doyne Farmer, J. & Thurner, Stefan, 2015.
"To bail-out or to bail-in? Answers from an agent-based model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 50(C), pages 144-154.
- Peter Klimek & Sebastian Poledna & J. Doyne Farmer & Stefan Thurner, 2014. "To bail-out or to bail-in? Answers from an agent-based model," Papers 1403.1548, arXiv.org.
- Diem, Christian & Pichler, Anton & Thurner, Stefan, 2020.
"What is the minimal systemic risk in financial exposure networks?,"
Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
- Christian Diem & Anton Pichler & Stefan Thurner, 2019. "What is the Minimal Systemic Risk in Financial Exposure Networks?," Papers 1905.05931, arXiv.org.
- Glasserman, Paul & Young, H. Peyton, 2016. "Contagion in financial networks," LSE Research Online Documents on Economics 68681, London School of Economics and Political Science, LSE Library.
- Lafond, François & Astudillo-Estévez, Pablo & Bacilieri, Andrea & Borsos, András, 2023. "Firm-level production networks: what do we (really) know?," INET Oxford Working Papers 2023-08, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
- Michael Boss & Martin Summer & Stefan Thurner, 2004. "Contagion Flow Through Banking Networks," Papers cond-mat/0403167, arXiv.org.
- Rama Cont & Eric Schaanning, 2017. "Fire sales, indirect contagion and systemic stress testing," Working Paper 2017/2, Norges Bank.
- Carro, Adrian & Stupariu, Patricia, 2024. "Uncertainty, non-linear contagion and the credit quality channel: An application to the Spanish interbank market," Journal of Financial Stability, Elsevier, vol. 71(C).
- Dror Y. Kenett & Sary Levy-Carciente & Adam Avakian & H. Eugene Stanley & Shlomo Havlin, 2015. "Dynamical Macroprudential Stress Testing Using Network Theory," Working Papers 15-12, Office of Financial Research, US Department of the Treasury.
- Caccioli, Fabio & Farmer, J. Doyne & Foti, Nick & Rockmore, Daniel, 2015. "Overlapping portfolios, contagion, and financial stability," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 50-63.
- Stéphane Hallegatte, 2008. "An Adaptive Regional Input‐Output Model and its Application to the Assessment of the Economic Cost of Katrina," Risk Analysis, John Wiley & Sons, vol. 28(3), pages 779-799, June.
- Pichler, Anton & Pangallo, Marco & del Rio-Chanona, R. Maria & Lafond, François & Farmer, J. Doyne, 2022. "Forecasting the propagation of pandemic shocks with a dynamic input-output model," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
- Paul Glasserman & H. Peyton Young, 2016. "Contagion in Financial Networks," Journal of Economic Literature, American Economic Association, vol. 54(3), pages 779-831, September.
- Silva, Thiago Christiano & Alexandre, Michel da Silva & Tabak, Benjamin Miranda, 2018. "Bank lending and systemic risk: A financial-real sector network approach with feedback," Journal of Financial Stability, Elsevier, vol. 38(C), pages 98-118.
- Levy-Carciente, Sary & Kenett, Dror Y. & Avakian, Adam & Stanley, H. Eugene & Havlin, Shlomo, 2015. "Dynamical macroprudential stress testing using network theory," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 164-181.
- Gustavo S. Cortes & Thiago Christiano Silva & Bernardus F. N. Van Doornik, 2019. "Credit Shock Propagation in Firm Networks: evidence from government bank credit expansions," Working Papers Series 507, Central Bank of Brazil, Research Department.
- Borio, Claudio & Drehmann, Mathias & Tsatsaronis, Kostas, 2014.
"Stress-testing macro stress testing: Does it live up to expectations?,"
Journal of Financial Stability, Elsevier, vol. 12(C), pages 3-15.
- Claudio Borio & Mathias Drehmann & Kostas Tsatsaronis, 2012. "Stress-testing macro stress testing: does it live up to expectations?," BIS Working Papers 369, Bank for International Settlements.
- Arnold, Bruce & Borio, Claudio & Ellis, Luci & Moshirian, Fariborz, 2012. "Systemic risk, macroprudential policy frameworks, monitoring financial systems and the evolution of capital adequacy," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3125-3132.
- Stéphane Hallegatte, 2008. "An adaptive regional input-output model and its application to the assessment of the economic cost of Katrina," Post-Print hal-00716550, HAL.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Wiersema, Garbrand & Kleinnijenhuis, Alissa M. & Wetzer, Thom & Farmer, J. Doyne, 2023.
"Scenario-free analysis of financial stability with interacting contagion channels,"
Journal of Banking & Finance, Elsevier, vol. 146(C).
- Farmer, J. Doyne & Kleinnijenhuis, Alissa & Wetzer, Thom & Wiersema, Garbrand, 2020. "Scenario-Free Analysis of Financial Stability with Interacting Contagion Channels," INET Oxford Working Papers 2019-10, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
- Marco Bardoscia & Paolo Barucca & Stefano Battiston & Fabio Caccioli & Giulio Cimini & Diego Garlaschelli & Fabio Saracco & Tiziano Squartini & Guido Caldarelli, 2021. "The Physics of Financial Networks," Papers 2103.05623, arXiv.org.
- Carro, Adrian & Stupariu, Patricia, 2024. "Uncertainty, non-linear contagion and the credit quality channel: An application to the Spanish interbank market," Journal of Financial Stability, Elsevier, vol. 71(C).
- Diem, Christian & Pichler, Anton & Thurner, Stefan, 2020.
"What is the minimal systemic risk in financial exposure networks?,"
Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
- Christian Diem & Anton Pichler & Stefan Thurner, 2019. "What is the Minimal Systemic Risk in Financial Exposure Networks?," Papers 1905.05931, arXiv.org.
- Alessandro Ferracci & Giulio Cimini, 2021. "Systemic risk in interbank networks: disentangling balance sheets and network effects," Papers 2109.14360, arXiv.org, revised Sep 2022.
- Barnett, William A. & Wang, Xue & Xu, Hai-Chuan & Zhou, Wei-Xing, 2022.
"Hierarchical contagions in the interdependent financial network,"
Journal of Financial Stability, Elsevier, vol. 61(C).
- William A. Barnett & Xue Wang & Hai-Chuan Xu & Wei-Xing Zhou, 2021. "Hierarchical contagions in the interdependent financial network," Papers 2106.14168, arXiv.org, revised Jun 2022.
- William A. Barnett & Xue Wang & Hai-Chuan Xu & Wei-Xing Zhou, 2021. "Hierarchical contagions in the interdependent financial network," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202113, University of Kansas, Department of Economics, revised Jun 2021.
- Barnett, William A. & Wang, Xue & Xu, Hai-Chuan & Zhou, Wei-Xing, 2021. "Hierarchical contagions in the interdependent financial network," MPRA Paper 108421, University Library of Munich, Germany.
- Ramadiah, Amanah & Fricke, Daniel & Caccioli, Fabio, 2022.
"Backtesting macroprudential stress tests,"
Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
- Ramadiah, Amanah & Fricke, Daniel & Caccioli, Fabio, 2020. "Backtesting macroprudential stress tests," Discussion Papers 45/2020, Deutsche Bundesbank.
- Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.
- Shi, Qing & Sun, Xiaoqi & Jiang, Yile, 2022. "Concentrated commonalities and systemic risk in China's banking system: A contagion network approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Bakoush, Mohamed & Gerding, Enrico & Mishra, Tapas & Wolfe, Simon, 2022. "An integrated macroprudential stress test of bank liquidity and solvency," Journal of Financial Stability, Elsevier, vol. 60(C).
- Paolo Barucca & Marco Bardoscia & Fabio Caccioli & Marco D'Errico & Gabriele Visentin & Guido Caldarelli & Stefano Battiston, 2020. "Network valuation in financial systems," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1181-1204, October.
- Braouezec, Yann & Wagalath, Lakshithe, 2019. "Strategic fire-sales and price-mediated contagion in the banking system," European Journal of Operational Research, Elsevier, vol. 274(3), pages 1180-1197.
- Jose Arreola Hernandez & Sang Hoon Kang & Seong‐Min Yoon, 2022. "Interdependence and portfolio optimisation of bank equity returns from developed and emerging Europe," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 678-696, January.
- Ramadiah, Amanah & Caccioli, Fabio & Fricke, Daniel, 2020.
"Reconstructing and stress testing credit networks,"
Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
- Ramadiah, Amanah & Caccioli, Fabio & Fricke, Daniel, 2018. "Reconstructing and stress testing credit networks," ESRB Working Paper Series 84, European Systemic Risk Board.
- Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020.
"Crowded trades, market clustering, and price instability,"
Papers
2002.03319, arXiv.org.
- Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020. "Crowded trades, market clustering, and price instability," Working Papers 668, DNB.
- Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020. "Crowded trades, market clustering, and price instability," Tinbergen Institute Discussion Papers 20-007/II, Tinbergen Institute.
- Fabio Caccioli & Paolo Barucca & Teruyoshi Kobayashi, 2018.
"Network models of financial systemic risk: a review,"
Journal of Computational Social Science, Springer, vol. 1(1), pages 81-114, January.
- Fabio Caccioli & Paolo Barucca & Teruyoshi Kobayashi, 2017. "Network models of financial systemic risk: A review," Papers 1710.11512, arXiv.org.
- Fabio Caccioli & Paolo Barucca & Teruyoshi Kobayashi, 2017. "Network models of financial systemic risk: A review," Discussion Papers 1719, Graduate School of Economics, Kobe University.
- X. Zhang & L. D. Valdez & H. E. Stanley & L. A. Braunstein, 2019. "Modeling Risk Contagion in the Venture Capital Market: A Multilayer Network Approach," Complexity, Hindawi, vol. 2019, pages 1-11, December.
- Poledna, Sebastian & Martínez-Jaramillo, Serafín & Caccioli, Fabio & Thurner, Stefan, 2021.
"Quantification of systemic risk from overlapping portfolios in the financial system,"
Journal of Financial Stability, Elsevier, vol. 52(C).
- Sebastian Poledna & Seraf'in Mart'inez-Jaramillo & Fabio Caccioli & Stefan Thurner, 2018. "Quantification of systemic risk from overlapping portfolios in the financial system," Papers 1802.00311, arXiv.org.
- Poledna, Sebastian & Martínez-Jaramillo, Serafín & Caccioli, Fabio & Thurner, Stefan, 2021. "Quantification of systemic risk from overlapping portfolios in the financial system," LSE Research Online Documents on Economics 113734, London School of Economics and Political Science, LSE Library.
- Spiros Bougheas & Adam Hal Spencer, 2022.
"Fire sales and ex ante valuation of systemic risk: A financial equilibrium networks approach,"
Discussion Papers
2022/04, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
- Spiros Bougheas & Adam Spencer, 2022. "Fire Sales and Ex Ante Valuation of Systemic Risk: A Financial Equilibrium Networks Approach," National Institute of Economic and Social Research (NIESR) Discussion Papers 544, National Institute of Economic and Social Research.
- Spiros Bougheas & Adam Hal Spencer, 2022. "Fire Sales and Ex Ante Valuation of Systemic Risk: A Financial Equilibrium Networks Approach," CESifo Working Paper Series 10111, CESifo.
- Jose Arreola Hernandez & Sang Hoon Kang & Ron P. McIver & Seong-Min Yoon, 2021. "Network Interdependence and Optimization of Bank Portfolios from Developed and Emerging Asia Pacific Countries," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 613-647, December.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FDG-2025-03-17 (Financial Development and Growth)
- NEP-NET-2025-03-17 (Network Economics)
- NEP-RMG-2025-03-17 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2502.17044. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.